 On 8 January 2010, Caicedo decided to join Málaga on loan, rejecting an offer from Hull City.He scored his first La Liga goal for Málaga with a beautiful individual effort against Racing de Santander, helping Málaga win 3–0 on 14 February 2010.On 10 April 2010, Caicedo scored his first goal in two months which is his second goal in 2–1 loss against Sevilla and 4 days later on 14 April 2010, Caicedo scored again after 4 days of scoring his first goal which is his third goal in a 2–2 draw against Osasuna.